Open your windows explore by right clicking on Start menu
(bottom left).
You can see start menu at: System drive most of the time
it would be C:
Ex. C:\Documents and Settings\username\Start Menu.
Click on start menu to select it. Now in right side window click with
right mouse button and follow the pic shown below.
Click on Start menu - New - Shortcut
Now a pop up box will open up. Browse and find the .exe file of desired
program.
Ex. If you want to create short cut for Real Player the link would be
like this. C:\Program Files\Real\RealPlayer\realjbox.exe
Find the .exe file and click on Next button then click on Finish.
You are done.